Sharp approximations of ruin probabilities in the discrete time models
DOI10.1080/03461238.2011.618761zbMATH Open1291.91107OpenAlexW2011521230MaRDI QIDQ2868613FDOQ2868613
Authors: L. Gajek, Marcin Rudź 
Publication date: 17 December 2013
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.2011.618761
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Cites Work
- Simple approximations of ruin probabilities
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- Ruin probabilities in the discrete time renewal risk model
- Approximations for the moments of ruin time in the compound Poisson model
- Ruin probability in the continuous-time compound binomial model
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- On the deficit distribution when ruin occurs -- discrete time model
- Two-Sided Bounds for Ruin Probabilities when the Adjustment Coefficient does not Exist
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Cited In (15)
- General methods for bounding multidimensional ruin probabilities in regime-switching models
- Finite-horizon general insolvency risk measures in a regime-switching Sparre Andersen model
- Corrected normal approximation for the probability of ruin within finite time
- Approximation of ruin probability and ruin time in discrete Brownian risk models
- Discrete-time model of company capital dynamics with investment of a certain part of surplus in a non-risky asset for a fixed period
- Deficit distributions at ruin in a regime-switching Sparre Andersen model
- Banach contraction principle and ruin probabilities in regime-switching models
- A generalization of Gerber's inequality for ruin probabilities in risk-switching models
- Finite-horizon ruin probabilities in a risk-switching Sparre Andersen model
- What is the best approximation of ruin probability in infinite time?
- Approximations of ruin probabilities in mixed Poisson models with lattice claim amounts
- Ruin probability about dual Poisson model with discrete time
- Ruin probabilities by Padé's method: simple moments based mixed exponential approximations (Renyi, De Vylder, Cramér-Lundberg), and high precision approximations with both light and heavy tails
- Title not available (Why is that?)
- Approximations of the ruin probability in a discrete time risk model
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